Carlos Acosta knows what his largely female audience want of him – they desire dreams of sexual annihilation. Four years ago, in Havana, I watched him make moves in the pas de deux from Diana and Acteon almost beyond comprehension – he seemed to be spinning while hovering upside-down – while his partner, suffering a terrible fever but still determined to dance, swooned and was carted off in an ambulance. It seemed appropriate.

What happens, though, when the athlete ages? Acosta is 37, and thinking of the future while his knees still hold. He says he is not afraid of failure, and wants to push the limits of his art. So on Thursday the ladies surged forward to fill London's Coliseum. They would find that in Carlos Acosta Premieres there would be no Acteon, no Corsaire, but there was the artist feeling his way forward.

A white rain is falling, and the image of a pub, the King's Head, is projected on to a front-of-stage screen. Carlos is among the crowd, yet out of place and he walks into the weather. At a bus stop he falls into another world, an interior place detached from any specific time.

It's in this dark place that all the pieces exist. It's a tribute to the show that each element, despite being the work of a different choreographer and composer, hangs together in a loose narrative – the remembrance of a love affair between Acosta and his fellow Royal Ballet principal Zenaida Yanowsky.

The best of the two-hour evening is Acosta's adaptation of Russell Maliphant's superb Two. This, made famous by Sylvie Guillem in 2004, is among the finest modern British pieces, up there with Wayne McGregor's Chroma. The dancer performs in a box of light. It is a sophisticated, beautifully thought-out work in which Maliphant, who studies bodies in the way Heston Blumenthal studies ingredients, collaborates with the lighting wizard Michael Hulls to entrance with glimpses of the flowing dancer. It seemed unlikely that Guillem could be matched, yet Acosta is hypnotic. The piece has that grace that pushes away realities, the worries that cling beyond the theatre doors.

Other elements in Premieres see the Cuban continue to promote his country's talent, whether it be the choreographer Georges Cespedes or the composer Omar Puente. Through these pieces he and the often exquisite Yanowsky play out their relationship in the quiet, technically difficult dances.

Finally we get to the works that Acosta has choreographed himself. A brave way to end, I had thought, yet he succeeds by staying true to his knowledge of classical dance, and by his ability to use a violent sexuality so unusual in many dancers. And then the supreme trick in the staging is revealed: a shadowy group who throughout the show have been watching from the back of the stage (they were even in the pub). The Pegasus choir begin to move forward singing Morten Lauridsen's haunting "O Magnum Mysterium", engulfing the dancers.

Listening to the departing audience, it's fair to say there was bafflement – "Is that his first contemporary piece?" (it wasn't); "I'm silent because I'm thinking about it" – but this is no bad thing. Every athlete, even the most extraordinary, will exchange vigour for experience. Acosta seems to understand that a dancer has to keep moving.